Barclays CDS Curve Trading Handbook

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1、CurveReportCOVERwithspine.qxp02/11/200718:08Page1BarclaysCapitalBarclaysCapital5TheNorthColonnade200ParkAvenueNewYorkUKNY10166,USAGrahamRennisonUlfErlandssonArupGhosh+44(0)2077738544+44(0)2077738363+44(0)2077736275graham.rennison@barcap.comulf.erlandsson@barcap.

2、comarup.ghosh@barcap.comCDSCurveTradingAmitBhattacharyyaJulieSchultz+12124122164+12124123918julie.schultz@barcap.comHandbook2008QuantitativeCreditStrategyThepersonsnamedastheauthorsofthisreportherebycertifythat:(i)alloftheviewsexpressedintheresearchreportaccurat

3、elyreflectthepersonalviewsoftheauthorsaboutthesubjectsecuritiesandissuers;and(ii)nopartoftheircompensationwas,is,orwillbe,directlyorindirectly,relatedtothespecificrecommendationsorviewsexpressedintheresearchreport.AnyreferencetoBarclaysCapitalincludesitsaffiliat

4、es.BarclaysCapitaldoesandseekstodobusinesswithcompaniescoveredinitsresearchreports.Asaresult,investorsshouldbeawarethatBarclaysCapitalmayhaveaconflictofinterestthatcouldaffecttheobjectivityofthisreport.IRSCircular230PreparedMaterialsDisclaimer:BarclaysCapitaland

5、itsaffiliatesdonotprovidetaxadviceandnothingcontainedhereinshouldbecon-struedtobetaxadvice.PleasebeadvisedthatanydiscussionofU.S.taxmatterscontainedherein(includinganyattachments)(i)isnotintendedorwrittentobeused,andcannotbeused,byyouforthepurposeofavoidingU.S.t

6、ax-relatedpenalties;and(ii)waswrittentosupportthepromotionormarketingofthetransactionsorothermattersaddressedherein.Accordingly,youshouldseekadvicebasedonyourparticularcircumstancesfromanindependenttaxadvisor.ThispublicationhasbeenpreparedbyBarclaysCapital(‘Barc

7、laysCapital’)–theinvestmentbankingdivisionofBarclaysBankPLC.Thispublicationisprovidedtoyouforinformationpurposesonly.PricesshowninthispublicationareindicativeandBarclaysCapitalisnotofferingtobuyorsellorsolic-itingofferstobuyorsellanyfinancialinstrument.Otherthan

8、disclosuresrelatingtoBarclaysCapital,theinformationcontainedinthispublicationhasbeenobtainedfromsourcesthatBarclaysCapitalknowstobereliable,butwedonotrepresentorwarra